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A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data / Marcio Garcia, Roberto Rigobon.
- Format:
- Book
- Author/Creator:
- Garcia, Marcio.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w10336.
- NBER working paper series no. w10336
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2004.
- Summary:
- In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is expanded to studying the stochastic properties of the debt dynamics. We illustrate the methodology by studying the Brazilian case. We find that even though the debt could be sustainable in the absence of risk, there are paths in which it is clearly unsustainable. Furthermore, we show that properties of the debt dynamics are closely related to the spreads on sovereign dollar denominated debt.
- Notes:
- Print version record
- March 2004.
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